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Class AmericanExercise

American exercise

An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised at any time before the expiry.

todo

check that everywhere the American condition is applied from earliestDate and not earlier

Hierarchy

Index

Properties

Protected _dates

_dates: Date[] = []

Protected _type

_type: Type

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

aeInit1

  • aeInit1(earliestDate: Date, latestDate: Date, payoffAtExpiry?: boolean): AmericanExercise
  • Parameters

    • earliestDate: Date
    • latestDate: Date
    • Default value payoffAtExpiry: boolean = false

    Returns AmericanExercise

aeInit2

  • Parameters

    • latestDate: Date
    • Default value payoffAtExpiry: boolean = false

    Returns AmericanExercise

date

  • date(index: Size): Date
  • Parameters

    Returns Date

dates

  • dates(): Date[]
  • Returns Date[]

dispose

  • dispose(): void
  • Returns void

eeInit

init

lastDate

  • lastDate(): Date

payoffAtExpiry

  • payoffAtExpiry(): boolean

type